Estimating a Nonlinear New Keynesian Model with the Zero Lower Bound for Japan

Which type of monetary policy rule best describes the conducted by Bank Japan (BOJ) during period when nominal interest rate is constrained at zero lower bound (ZLB)? What are economic fundamentals that explain Japan's prolonged stagnation? How important incorporating nonlinearities in analysis? We answer these questions estimating a small-scale nonlinear dynamic stochastic general equilibrium (DSGE) model. find that: BOJ threshold-based forward guidance policy; adverse demand shocks experience; and models very useful analysis Japanese economy ZLB period.